Question ID:
2015_1871
Legal Act:
Regulation (EU) No 575/2013 (CRR)
Topic:
Supervisory reporting - Leverage ratio
Article:
429
Paragraph:
2
COM Delegated or Implementing Acts/RTS/ITS/GLs/Recommendations:
Regulation (EU) No 680/2014 - ITS on supervisory reporting of institutions (as amended)
Article/Paragraph:
14 (2)
Disclose name of institution / entity:
Yes
Name of institution / submitter:
Oesterreichische Nationalbank
Country of incorporation / residence:
Austria
Type of submitter:
Credit institution
Subject Matter:
C 45.00 - LEVERAGE RATIO CALCULATION (LRCalc): arithmetic mean of monthly data vs. end of quarter data
Question:

According to Art. 429.2 CRR (old version), institutions shall calculate the leverage ratio as the simple arithmetic mean of the monthly leverage ratios over a quarter. This requirement is implemented in table C 45.00 in the current LR-reporting which is applicable as long as the new LR-reporting (currently under public consultation, applicable as of Q4/2015 at the earliest) is not yet in place. However, Art. 429 CRR has already been replaced by the delegated act on LR (already in place since 18 January 2015). Now, paragraph 2 of Art. 429 clearly states that “institutions shall calculate the leverage ratio at the reporting reference date” (i.e. only end-of-quarter leverage ratio). Against this background some of our reporting agents raise the question, whether they are still be obliged to submit the exposures on a monthly basis as of Q1/2015, even the new LR-templates are not yet in place.

Background on the question:

It is very burdensome for (some of) the institutions to provide the exposures on a monthly basis. To submit only end of quarter figures is to be preferred. Bearing in mind Art. 499 (3) CRR which provides a supervisory option for requiring end-of-quarter figures, the LR-Instructions already foresees such a case under paragraph 25: “Since the leverage ratio shall be calculated ‘as the simple arithmetic mean of the monthly leverage ratios over a quarter’, institutions shall report the components at an end-of-month basis unless the derogation specified in Article 499(3) of the CRR applies. If the latter is the case, institutions shall only report values in column 3 of LRCalc.” However, as the amended Art. 429 CRR is already in force, competent authorities cannot exercise the derogation in Article 499 (3) of the Regulation (EU) No 575/2013.

Date of submission:
05/03/2015
Published as Final Q&A:
12/06/2015
Final Answer:

Article 1(1) of Commission Delegated Regulation (EU) 2015/62 replaced the requirement to calculate the leverage ratio as the simple arithmetic mean of the monthly leverage ratios over a quarter laid down in the second subparagraph of Article 429(2) of Regulation (EU) No 575/2013 (CRR) with a requirement to calculate the leverage ratio at the reporting reference date, i.e. at the end of the quarter.

In view of the above change, institutions no longer need to ask their competent authorities - in accordance with Article 499(3) of the CRR - for permission to calculate the end-of-quarter leverage ratio as they are already required to perform that calculation in accordance with the second subparagraph of Article 429(2) of the CRR. For that reason and for the purposes of filling in the reporting template, institutions may consider that the derogation laid down in Art. 499(3) of CRR has been exercised.

DISCLAIMER:

This question goes beyond matters of consistent and effective application of the regulatory framework. A Directorate General of the Commission (Directorate General for Financial Stability, Financial Services and Capital Markets Union) has prepared the answer, albeit that only the Court of Justice of the European Union can provide definitive interpretations of EU legislation. This is an unofficial opinion of that Directorate General, which the European Banking Authority publishes on its behalf. The answers are not binding on the European Commission as an institution. You should be aware that the European Commission could adopt a position different from the one expressed in such Q&As, for instance in infringement proceedings or after a detailed examination of a specific case or on the basis of any new legal or factual elements that may have been brought to its attention.

Status:
Final Q&A
Answer prepared by:
Answer prepared by the EBA.
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